For example in the paper-eng, if you have a backend that doesn't fully
support a symcache (yet) it's handy to be able to ignore processing
other paper-eng txns when all you care about at the moment is the
simulated symbol.
NOTE, that currently this will still result in a key-error when you load
more then one mkt with the paper engine (for which the backend does not
have the symcache implemented) since no fqme ad-hoc query was made for
the 2nd symbol (and i'm not sure we should support that kinda hackery
over just encouraging the sym-cache being added?). Def needs a little
more thought depending on how many backends are never going to be able
to (easily) support caching..
Instead just check for the field (which i'm not huge on the key-name for
anyway) and if not found get the "last price" from the real-time shm
buffer's latest 'close' sample.
Unrelatedly, use a `subs.copy()` in the `Router.client_broadcast()` loop
such that if a `client_stream` is popped on connection failure, we don't
RTE for the "size changed on iteration".
Turns out we were expecting/processing `Status(resp='error')` msgs not
`BrokerdError` (i guess bc latter was only really being used in initial
`brokerd` msg responses and not for relay of actual provider clearing
engine failures?) and the case block match / logic wasn't really
correct. So this changes a few things:
- always do reverse `oid` lookups from `reqid`s if possible in error msg
handling case.
- add a new `Error` client-dialog msg (derived from `Status`) which we
now relay when `brokerd` sends a `BrokerdError` and no prior `Status`
can be found (when it is we still fill in appropriate fields from the
backend-error and just send back the last status msg like before).
- try hard to look up the original `Order.symbol: str` for client
broadcasting trying first using any `Status.req` and failing over to
embedded `.brokerd_msg` field lookups.
- drop the `Status.name = 'error'` from literal def.
If a backend declares a top level `get_cost()` (provisional name)
we call it in the paper engine to try and simulate costs according to
the provider's own schedule. For now only `binance` has support (via the
ep def) but ideally we can fill these in incrementally as users start
forward testing on multiple cexes.
Since it's depended on by `.data` stuff as well as pretty much
everything else, makes more sense to expose it as a top level module
(and maybe eventually as a subpkg as we add to it).
In cases where a brokerd backend doesn't yet support a symcache we need
to do manual `.get_mkt_info()` queries and stash them in a table that we
pass in for the mkt failover lookup to `Account.update_from_ledger()`.
Set the `PaperBoi._mkts` to this table for use on real-time ledger
writes in `.fake_fill()`.
Since we don't want to be doing a `trio.run()` from async code (being
already in the `tractor` runtime and all); for now just put a top level
block wrapping async enter until we figure out to embed it (likely)
inside `open_account()` and pass the ref to `open_trade_ledger()`.
Since crypto backends now also may expand an FQME like `xbteur.kraken`
-> `xbteur.spot.kraken` (by filling in the venue token), we need to use
this identifier when looking up per-market order dialogs or submitting
new requests. The simple fix is to simply look up that expanded from
from the `Feed.flumes` table which is always keyed by the `MktPair.fqme:
str` - the expanded form.
It's finally a decent little design / interface and definitely can be
used in other backends like `kraken` which rolled something lower level
but more or less the same without a wrapper class.
Since crypto backends now also may expand an FQME like `xbteur.kraken`
-> `xbteur.spot.kraken` (by filling in the venue token), we need to use
this identifier when looking up per-market order dialogs or submitting
new requests. The simple fix is to simply look up that expanded from
from the `Feed.flumes` table which is always keyed by the `MktPair.fqme:
str` - the expanded form.
This was actually incorrect prior, we were rounding triggered limit
orders with the `.size_tick` value's digits when we should have been
using the `.price_tick` (facepalm). So fix that and compute the rounding
number of digits (as passed to the round(<value>, ndigits=<here>)`
builtin) and store it in the `DarkBook.triggers` tuples so that at
trigger/match time the round call is done *just prior* to msg send to
`brokerd` given the last known live L1 queue price.
It's been getting setup in the `brokerd` daemon-actor spawn task for
a while now and worker tasks already get a ref to that global log
instance so they don't need to care (in data or trading) task spawn
endpoints.
Also move to the new `open_trade_dialog()` naming for working broker
backends B)
Connecting to a `brokerd` daemon's trading dialog via a helper `@acm`
func is handy so that arbitrary trading middleware clients **and** the
ems can setup a trading dialog and, at the least, query existing
position state; this is in fact our immediate need when simply querying
for an account's position status in the `.accounting.cli.ledger` cli.
It's now exposed (for now) as `.clearing._ems.open_brokerd_dialog()` and
is called by the `Router.maybe_open_brokerd_dialog()` for every new
relay allocation or paper-account engine instance.
Previously you couldn't have a brokerd backend which defined
`.trades_dialogue()` but which could also indicate that the paper
clearing engine should be used. This adds that support by allowing the
endpoint task to return a simple `'paper'` string, in which case the ems
will boot a paperboi.
The obvious useful case for this is if you have a broker you want to use
but do not have actual broker credentials setup (yet) with that provider
in your `brokers.toml`; demonstrated here with the adjustment to
`kraken`'s startup to no longer raise a runtime error B)
- only preload necessary (one for clearing, all for ledger sync)
`MktPair` info from the backend using `.get_mkt_info()`, build the
`mkt_by_fqme: dict[str, MktPair]` and pass it to
`TransactionLedger.iter_trans()`.
- use new `TransactionLedger.update_from_t()` method on clears.
- sanity check all `mkt_by_fqme` entries against `Flume.mkt` values
when we open a data feed.
- rename `PaperBoi._syms` -> `._mkts`.
Tyler Goodlet